Võrdle meetodeid

	DCC-GARCH mudel (dünaamiline tingimuslik korrelatsioon)	TGARCH-mudel (Threshold GARCH)
Valdkond	Ökonomeetria	Ökonomeetria
Perekond	Regression model	Regression model
Tekkeaasta	2002	1993-1994
Looja	Robert F. Engle	Zakoian (1994); Glosten, Jagannathan & Runkle (1993)
Tüüp	Multivariate volatility model	Asymmetric volatility model
Algallikas	Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350.	Zakoian, J.-M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955.
Rööpnimetused	DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC	Threshold GARCH, TGARCH, GJR-GARCH, asymmetric GARCH
Seotud	5	6
Kokkuvõte	The DCC-GARCH model, introduced by Engle (2002), extends univariate GARCH to capture time-varying correlations between multiple financial time series. It decomposes the multivariate conditional covariance matrix into individual volatility processes and a dynamic correlation matrix, allowing correlations to fluctuate over time while remaining computationally tractable even with many series.	The Threshold GARCH (TGARCH) model extends the standard GARCH framework by allowing positive and negative return shocks to have asymmetric effects on conditional variance. Negative shocks — bad news — typically amplify volatility more than positive shocks of the same magnitude, a stylised fact known as the leverage effect. TGARCH captures this asymmetry through a threshold indicator that switches on when the previous period's shock was negative.